Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0032
Annualized Std Dev 0.2253
Annualized Sharpe (Rf=0%) -0.0143

Row

Daily Return Statistics

Close
Observations 4707.0000
NAs 1.0000
Minimum -0.1281
Quartile 1 -0.0059
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0058
Maximum 0.1816
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0142
Skewness 0.6877
Kurtosis 14.4692

Downside Risk

Close
Semi Deviation 0.0097
Gain Deviation 0.0117
Loss Deviation 0.0105
Downside Deviation (MAR=210%) 0.0146
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.5068
Historical VaR (95%) -0.0219
Historical ES (95%) -0.0328
Modified VaR (95%) -0.0162
Modified ES (95%) -0.0162
From Trough To Depth Length To Trough Recovery
2005-01-03 2008-12-17 NA -0.5068 3493 803 NA
2004-03-23 2004-05-24 2004-12-23 -0.1973 155 37 118
1999-04-20 1999-10-25 2002-03-06 -0.1774 607 105 502
2002-10-10 2002-10-25 2004-02-17 -0.1126 256 11 245
1999-01-11 1999-01-26 1999-04-08 -0.0735 46 9 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.9 0.4 1.3 0 0.4 0.4 -0.4 -0.5 1.9 -2.4 1 2.3 5.3
2000 -1.8 -0.9 1.4 0.5 1.5 0 -0.5 -0.5 0 0 0 1.4 1
2001 0 0 0 0.1 0.8 0.6 0.5 0.3 0.1 0.1 -0.1 -0.1 2.4
2002 -0.7 0 -0.3 -0.6 -0.9 0.3 -0.2 0 0.5 0.8 -0.6 0 -1.7
2003 0.9 0.9 0.2 -0.2 -0.6 0.3 -0.8 1.8 -0.6 0.1 0 -1 1
2004 -1.8 0 0.1 0 0.3 0 0 1.3 -0.2 0.1 -0.8 0.3 -0.9
2005 -0.5 0.6 0 -0.4 0.6 -0.7 -0.7 -0.5 -0.7 0.7 -0.6 -0.3 -2.4
2006 0.3 0.2 0.6 0.7 -0.6 1.6 -2 0.7 -0.1 -0.1 0.1 0.6 1.8
2007 0.4 -0.7 -0.6 0 -0.2 0.3 -1.7 -0.4 0.1 -0.7 0.4 -0.8 -3.8
2008 0.9 -0.5 -0.6 0 0.3 -0.7 0.4 -2.4 0.4 8.5 0 11.1 18
2009 -1.6 1.6 0 0.7 1.5 -0.9 -0.4 -0.9 -0.6 -0.1 1.6 2.7 3.4
2010 0.7 -0.1 1.4 -0.6 0.5 -1.2 -1.2 -0.5 1.9 -0.4 -0.1 1.4 2
2011 0.3 0.6 -0.2 1.1 1.6 0.5 2.7 -0.5 0.3 0.8 -0.9 -0.1 6.3
2012 -0.2 -0.2 -0.2 -0.8 1.2 0.2 0.7 0.4 0.8 -0.6 1 -0.6 1.7
2013 0.8 -0.1 -0.4 0.7 -0.3 2.5 0.1 -0.7 -0.3 -1.5 0.2 -0.5 0.5
2014 0.9 1.3 -1.1 1.5 -0.3 -1.2 -1.6 1.3 0.9 2.6 0.3 -0.6 4
2015 -0.5 1.1 0.4 -1.4 0.3 0.3 0.6 0.1 0.5 0.1 -0.7 0.9 1.7
2016 1.3 1.1 -0.3 0.6 2.9 2.8 -0.7 -0.1 1 -2.8 0 -0.5 5.4
2017 -0.8 2.1 2 0.6 -0.9 -0.9 0 0.1 0.1 -8.5 0.7 -0.2 -6
2018 -0.8 1.5 0.8 -0.7 -0.1 -0.4 -0.2 0.1 -1 2.3 -0.6 0.2 0.9
2019 1 1 2.1 -0.2 2.9 1.9 -0.2 0.9 2.7 0.4 2.8 0 16.4
2020 1.5 -0.7 0.8 -2.4 -1 1.6 0.2 1 1.4 -5.1 -0.2 0 -3
2021 0.1 1.6 -0.5 NA NA NA NA NA NA NA NA NA 1.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  15.2 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-07  15.2 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-08  15.3 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-11  15.1 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-13  15   SPY    123. -0.007   -0.0319       NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-14  14.9 SPY    121. -0.0175  -0.0441       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart